What is the second derivative with respect to price of a put option? [on hold]
$begingroup$
What is the reasoning/meaning behind the second derivative of a put option
options option-pricing european-options
asked yesterday
Anna BlackAnna Black
42
New contributor
Anna Black is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
$endgroup$
put on hold as off-topic by Daneel Olivaw, LocalVolatility, Alex C, Helin, skoestlmeier 21 hours ago
This question appears to be off-topic. The users who voted to close gave this specific reason:
- "Basic financial questions are off-topic as they are assumed to be common knowledge for those studying or working in the field of quantitative finance." – Daneel Olivaw, LocalVolatility, Alex C, Helin, skoestlmeier
If this question can be reworded to fit the rules in the help center, please edit the question.
add a comment |
$begingroup$
What is the reasoning/meaning behind the second derivative of a put option
options option-pricing european-options
asked yesterday
Anna BlackAnna Black
42
New contributor
Anna Black is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
$endgroup$
put on hold as off-topic by Daneel Olivaw, LocalVolatility, Alex C, Helin, skoestlmeier 21 hours ago
This question appears to be off-topic. The users who voted to close gave this specific reason:
- "Basic financial questions are off-topic as they are assumed to be common knowledge for those studying or working in the field of quantitative finance." – Daneel Olivaw, LocalVolatility, Alex C, Helin, skoestlmeier
If this question can be reworded to fit the rules in the help center, please edit the question.
$begingroup$
Derivative with respect to what, price?
$endgroup$
– Bob Jansen♦
yesterday
1
$begingroup$
yes, with respect to price
$endgroup$
– Anna Black
yesterday
add a comment |
$begingroup$
What is the reasoning/meaning behind the second derivative of a put option
options option-pricing european-options
asked yesterday
Anna BlackAnna Black
42
New contributor
Anna Black is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
$endgroup$
What is the reasoning/meaning behind the second derivative of a put option
options option-pricing european-options
options option-pricing european-options
asked yesterday
Anna BlackAnna Black
42
New contributor
Anna Black is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
asked yesterday
Anna BlackAnna Black
42
New contributor
Anna Black is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
edited yesterday
Anna Black
asked yesterday
Anna BlackAnna Black
42
New contributor
Anna Black is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
asked yesterday
Anna BlackAnna Black
42
asked yesterday
Anna BlackAnna Black
42
42
New contributor
Anna Black is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
New contributor
Anna Black is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
Anna Black is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
put on hold as off-topic by Daneel Olivaw, LocalVolatility, Alex C, Helin, skoestlmeier 21 hours ago
This question appears to be off-topic. The users who voted to close gave this specific reason:
- "Basic financial questions are off-topic as they are assumed to be common knowledge for those studying or working in the field of quantitative finance." – Daneel Olivaw, LocalVolatility, Alex C, Helin, skoestlmeier
If this question can be reworded to fit the rules in the help center, please edit the question.
put on hold as off-topic by Daneel Olivaw, LocalVolatility, Alex C, Helin, skoestlmeier 21 hours ago
This question appears to be off-topic. The users who voted to close gave this specific reason:
- "Basic financial questions are off-topic as they are assumed to be common knowledge for those studying or working in the field of quantitative finance." – Daneel Olivaw, LocalVolatility, Alex C, Helin, skoestlmeier
If this question can be reworded to fit the rules in the help center, please edit the question.
$begingroup$
Derivative with respect to what, price?
$endgroup$
– Bob Jansen♦
yesterday
1
$begingroup$
yes, with respect to price
$endgroup$
– Anna Black
yesterday
add a comment |
$begingroup$
Derivative with respect to what, price?
$endgroup$
– Bob Jansen♦
yesterday
1
$begingroup$
yes, with respect to price
$endgroup$
– Anna Black
yesterday
$begingroup$
Derivative with respect to what, price?
$endgroup$
– Bob Jansen♦
yesterday
$begingroup$
Derivative with respect to what, price?
$endgroup$
– Bob Jansen♦
yesterday
1
1
$begingroup$
yes, with respect to price
$endgroup$
– Anna Black
yesterday
$begingroup$
yes, with respect to price
$endgroup$
– Anna Black
yesterday
add a comment |
2 Answers
2
active
oldest
votes
$begingroup$
It is the rate at which the price of the option changes with respect to the change of the delta (the rate of change with respect to the underlying). As by design, options are non-linear in order to provide protection (limit loss) as well as provide some exposure to the underlying, their value will change its sensitivity to changes in the underlying. Due to curvature, so will this sensitivity to changes in the underlying. The second derivative is a measure of this change in sensitivity. It is a measure of realized volatility and is commonly referred to as gamma, among the option “greeks.”
As for a put option, if you are long the put option you are short delta and long gamma. If you are short the put, you are long delta and short gamma.
answered yesterday
AlRacoonAlRacoon
1,58628
$endgroup$
add a comment |
$begingroup$
It's called Gamma one of the option Greeks.
answered yesterday
Bob Jansen♦Bob Jansen
3,64152246
$endgroup$
add a comment |
2 Answers
2
active
oldest
votes
2 Answers
2
active
oldest
votes
active
oldest
votes
active
oldest
votes
$begingroup$
It is the rate at which the price of the option changes with respect to the change of the delta (the rate of change with respect to the underlying). As by design, options are non-linear in order to provide protection (limit loss) as well as provide some exposure to the underlying, their value will change its sensitivity to changes in the underlying. Due to curvature, so will this sensitivity to changes in the underlying. The second derivative is a measure of this change in sensitivity. It is a measure of realized volatility and is commonly referred to as gamma, among the option “greeks.”
As for a put option, if you are long the put option you are short delta and long gamma. If you are short the put, you are long delta and short gamma.
answered yesterday
AlRacoonAlRacoon
1,58628
$endgroup$
add a comment |
$begingroup$
It is the rate at which the price of the option changes with respect to the change of the delta (the rate of change with respect to the underlying). As by design, options are non-linear in order to provide protection (limit loss) as well as provide some exposure to the underlying, their value will change its sensitivity to changes in the underlying. Due to curvature, so will this sensitivity to changes in the underlying. The second derivative is a measure of this change in sensitivity. It is a measure of realized volatility and is commonly referred to as gamma, among the option “greeks.”
As for a put option, if you are long the put option you are short delta and long gamma. If you are short the put, you are long delta and short gamma.
answered yesterday
AlRacoonAlRacoon
1,58628
$endgroup$
add a comment |
$begingroup$
It is the rate at which the price of the option changes with respect to the change of the delta (the rate of change with respect to the underlying). As by design, options are non-linear in order to provide protection (limit loss) as well as provide some exposure to the underlying, their value will change its sensitivity to changes in the underlying. Due to curvature, so will this sensitivity to changes in the underlying. The second derivative is a measure of this change in sensitivity. It is a measure of realized volatility and is commonly referred to as gamma, among the option “greeks.”
As for a put option, if you are long the put option you are short delta and long gamma. If you are short the put, you are long delta and short gamma.
answered yesterday
AlRacoonAlRacoon
1,58628
$endgroup$
It is the rate at which the price of the option changes with respect to the change of the delta (the rate of change with respect to the underlying). As by design, options are non-linear in order to provide protection (limit loss) as well as provide some exposure to the underlying, their value will change its sensitivity to changes in the underlying. Due to curvature, so will this sensitivity to changes in the underlying. The second derivative is a measure of this change in sensitivity. It is a measure of realized volatility and is commonly referred to as gamma, among the option “greeks.”
As for a put option, if you are long the put option you are short delta and long gamma. If you are short the put, you are long delta and short gamma.
answered yesterday
AlRacoonAlRacoon
1,58628
edited 8 hours ago
answered yesterday
AlRacoonAlRacoon
1,58628
answered yesterday
AlRacoonAlRacoon
1,58628
answered yesterday
AlRacoonAlRacoon
1,58628
1,58628
add a comment |
add a comment |
$begingroup$
It's called Gamma one of the option Greeks.
answered yesterday
Bob Jansen♦Bob Jansen
3,64152246
$endgroup$
add a comment |
$begingroup$
It's called Gamma one of the option Greeks.
answered yesterday
Bob Jansen♦Bob Jansen
3,64152246
$endgroup$
add a comment |
$begingroup$
It's called Gamma one of the option Greeks.
answered yesterday
Bob Jansen♦Bob Jansen
3,64152246
$endgroup$
It's called Gamma one of the option Greeks.
answered yesterday
Bob Jansen♦Bob Jansen
3,64152246
edited yesterday
answered yesterday
Bob Jansen♦Bob Jansen
3,64152246
answered yesterday
Bob Jansen♦Bob Jansen
3,64152246
answered yesterday
Bob Jansen♦Bob Jansen
3,64152246
3,64152246
add a comment |
add a comment |
$begingroup$
Derivative with respect to what, price?
$endgroup$
– Bob Jansen♦
yesterday
1
$begingroup$
yes, with respect to price
$endgroup$
– Anna Black
yesterday